Yan, Yuxing; Zhang, Shaojun - In: Journal of Banking & Finance 36 (2012) 2, pp. 454-467
We report evidence that boundary solutions can cause a bias in the estimate of the probability of informed trading (PIN). We develop an algorithm to overcome this bias and use it to estimate PIN for nearly 80,000 stock-quarters between 1993 and 2004. We obtain two sets of PIN estimates by using...